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STOCK MARKET RETURNS AND INFLATIONARY EXPECTATIONS: ADDITIONAL EVIDENCE FOR 1975–1979
Author(s) -
Chu ChenChin,
Whitford David T.
Publication year - 1982
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1982.tb00300.x
Subject(s) - economics , stock (firearms) , stock market , extrapolation , econometrics , inflation (cosmology) , financial economics , monetary economics , statistics , mechanical engineering , paleontology , physics , mathematics , horse , theoretical physics , engineering , biology
This research investigates the impacts that inflationary expectations and errors in those expectations had upon the stock market during 1975 to 1979. Expected rates of inflation were obtained via (1) Box‐Jenkins time‐series analysis and (2) naive extrapolation. Statistical analysis indicates only weak support for a Fisher effect in determining stock prices. However, the analysis consistently indicates that unanticipated changes in inflation are negatively related to stock market returns.